Yes, depression has made me feel like I was coming down with the flu all the time. I even ran low grade fevers at the same time everyday. No. I didn't have any auto-immune disorders. I was checked out for those. Long ago a medical doctor told me that depression can cause physical pain like back aches.

Here's a link to WebMD listing the physical manifestations of depression:
Depression: Recognizing the Physical Symptoms

This article on MayoClinic.com talks about how depression and pain are closely linked. One can cause the other and end up being a vicious cycle.
Pain and depression: Is there a link? - MayoClinic.com

I think also that lower levels of serotonin leads to feeling physical pain more.